Intersection local time for two independent fractional Brownian motions

Details Intersection local time for two independent fractional Brownian motions Intersection local time for two independent fractional Brownian motions

2007-04-10

arxiv.org/abs/0704.1259v1

Mathematics

Probability

Scientific paper

We prove the existence of the intersection local time for two independent, d
-dimensional fractional Brownian motions with the same Hurst parameter H.
Assume d greater or equal to 2, then the intersection local time exists if and
only if Hd<2.

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